Portfolio_CAPM_ff5
Weiquan Luo
2020-02-21
Prerequisite
1. Portfolio Summary
1.1 Asset Allocation
1.2 Sharpe Ratio
1.3 Portfolio CAPM Statisics
1.4. Additional Information
2. Capital Asset Pricing Model: Asset Anslysis
3. Fama French factors
3.1 Clustering
3.2 FF5 Asset Anslysis
3.3 Rolling Beta
4. Orders Records
Prerequisite
Baseline: SPY
Backtest period: 5 Years
Data time frame: Daily
1. Portfolio Summary
1.1 Asset Allocation
1.2 Sharpe Ratio
returns
StdDev Sharpe (Rf=0%, p=95%):
-0.0161018
VaR Sharpe (Rf=0%, p=95%):
-0.0097934
ES Sharpe (Rf=0%, p=95%):
-0.0061662
1.3 Portfolio CAPM Statisics
beta.bear
beta
beta.bull
alpha
0.8365337
0.8229033
0.8500824
-5.1e-05
1.4. Additional Information
2. Capital Asset Pricing Model: Asset Anslysis
3. Fama French factors
3.1 Clustering
## $hopkins_stat ## [1] 0.06021097 ## ## $plot
3.2 FF5 Asset Anslysis
3.3 Rolling Beta
4. Orders Records